Kalman filter

The Kalman filter, also known as linear quadratic estimation (LQE，线性二次估计), is an algorithm which uses a series of measurements observed over time, containing noise (random variations) and other inaccuracies(误差), and produces estimates of unknown variables that tend to be more precise than those that would be based on a single measurement alone. More formally, the Kalman filter operates recursively on streams of noisy input data to produce a statistically optimal estimate of the underlying system state. The filter is named for Rudolf (Rudy) E. Kálmán, one of the primary developers of its theory.

The Kalman filter has numerous applications in technology. A common application is for guidance, navigation and control of vehicles, particularly aircraft and spacecraft(交通工具的导航控制，特别地，航空器和航天器). Furthermore, the Kalman filter is a widely applied concept in time series analysis(时序分析) used in fields such as signal processing and econometrics(计量经济学).

The algorithm works in a two-step process: in the prediction step, the Kalman filter produces estimates of the current state variables(预测当前状态变量), along with their uncertainties. Once the outcome of the next measurement (necessarily corrupted with some amount of error, including random noise) is observed, these estimates are updated using a weighted average, with more weight being given to estimates with higher certainty. Because of the algorithm's recursive nature, it can run in real time using only the present input measurements and the previously calculated state; no additional past information is required.

From a theoretical standpoint, the main assumption of the Kalman filter is that the underlying system is a linear dynamical system and that all error terms and measurements have a Gaussian distribution (often a multivariate Gaussian distribution). Extensions and generalizations to the method have also been developed, such as the extended Kalman filter and the unscented Kalman filter (无迹卡尔曼滤波器) which work on nonlinear systems. The underlying model is a Bayesian model similar to a hidden Markov model but where the state space of the latent variables is continuous and where all latent and observed variables have Gaussian distributions.

Naming and historical development

The filter is named after Hungarian émigré Rudolf E. Kálmán, though Thorvald Nicolai Thiele^[1][2] and Peter Swerling developed a similar algorithm earlier. Richard S. Bucy of the University of Southern California contributed to the theory, leading to it often being called the Kalman-Bucy filter. Stanley F. Schmidt is generally credited with developing the first implementation of a Kalman filter. It was during a visit by Kalman to the NASA Ames Research Center that he saw the applicability of his ideas to the problem of trajectory estimation for theApollo program, leading to its incorporation in the Apollo navigation computer. This Kalman filter was first described and partially developed in technical papers by Swerling (1958), Kalman (1960) and Kalman and Bucy (1961).

Kalman filters have been vital in the implementation of the navigation systems of U.S. Navy nuclear ballistic missile submarines, and in the guidance and navigation systems of cruise missiles such as the U.S. Navy's Tomahawk missile and the U.S. Air Force's Air Launched Cruise Missile. It is also used in the guidance and navigation systems of the NASA Space Shuttle and the attitude control and navigation systems of the International Space Station.

This digital filter is sometimes called the Stratonovich–Kalman–Bucy filter because it is a special case of a more general, non-linear filter developed somewhat earlier by the Soviet mathematician Ruslan L. Stratonovich.^[3][4][5][6] In fact, some of the special case linear filter's equations appeared in these papers by Stratonovich that were published before summer 1960, when Kalman met with Stratonovich during a conference in Moscow.